Screening Chinese Stocks by Turnover, Listing Year, and Price Range

Summary

This Chinese equities screen selects stocks with turnover between 3% and 12%, a 2021 listing year, and an amplitude measure greater than 1. The article interprets the turnover band as selecting relatively active shares, the listing-year filter as targeting newer companies, and the amplitude condition as seeking elevated price movement that may suit short-term trading. It also suggests adding technical measures such as moving averages or MACD and fundamental measures such as valuation and returns on equity.

The document provides a screening description and sample indicator logic, but no backtest, trade examples, or performance statistics. Its implementation is not fully aligned with the prose: the sample formula defines amplitude using the high-low range relative to the prior close and a five-period average, while the stated screen does not explain that calculation. The discussion cautions that the approach ignores fundamentals and can concentrate exposure in volatile stocks, leaving the screen's predictive value unestablished.

Key ideas

• The screen combines a 3%–12% turnover band with a 2021 listing-year filter.
• It adds an amplitude threshold to target stocks with larger recent price ranges.
• The code describes amplitude using the high-low range relative to the prior close.
• The article provides no performance evidence and notes that fundamentals are omitted.
• It suggests combining the screen with technical and fundamental measures.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.